Research On The Market Risk Of CSI300Futures Based On SWARCH-POT

China’s CSI300futures contracts was traded in April16,2010.As a major financialderivatives, it allows investors to transfer the expected risk of the entire stock market priceindex to the futures market in order to offset the risk of the stock market. AS the same as the other financial derivatives, highly leveraged trading mechanism, sensitivity in price changesand complexity in the trading strategy is the major character of CSI300futures.So CSI300futures contains a huge risk,which is much bigger than the spot market.In other words, theinvestors must bear the higher risk when they get the chance of high returns.Thus the riskmanagement and metric of CSI300futures is the key of the entire maket operation.Based onthe market performance after the trading of the CSI300futures contracts,this paper attemptsto study the the reason, characteristics and control methods of marketing risk of CSI300futures.in this paper,throught integrating theory with practice and referencing domestic andforeign excellent relevant research literature,we analyze the markting risk of CSI300futuresin an Innovative way in order to make some contribution to the healthy development of theCSI300futures market. Since CSI300futures are not Officially listed until April16,2010.Previous studies about the marketing risk of CSI300futures is always based onsimulated data, and therefore it can not completely accurately reflect the whole picture ofChina’s stock index futures marketing risk.In addition,most of the reaearch learn from existingforeign models and methods and lacks of innowatino and pertinence. So this paper ues theactual contracts traded data in the CSI300futures, and intergrate SWARCH model and potmodle to calculate the value at risk, which can make a more accurate description of volatilitycharacteristics and risk degree of CSI300futures. Apart from this, through empirical test byactual contracts traded data,this paper verify the rationality and practicality of SWARCH-POTmodel and the results indicates the rate of return of CSI300futures has Leptokurtic andfat-tail characteristics,and SWARCH-POT model is a more accurate and scientific measure ofthe stock index futures market risk.